Joint VaR-ES forecasting on US equity (test)
8.37DM Test StatisticLANN
Evaluation Results
| Method | Links | |
|---|---|---|
| LANNReference Model=NN2026.06 | 8.37 | |
| EInformerReference Model=Informer2026.06 | 2.27 | |
| DInformerReference Model=Informer2026.06 | 1.62 | |
| EInformerReference Model=GRU2026.06 | 1.45 | |
| EInformerReference Model=LSTM2026.06 | 1.22 | |
| GARCHReference Model=GAS2026.06 | 1.04 | |
| LANNReference Model=Linear2026.06 | 1.02 | |
| DInformerReference Model=GRU2026.06 | 0.91 | |
| EInformerReference Model=DLinear2026.06 | 0.76 | |
| DInformerReference Model=LSTM2026.06 | 0.58 | |
| EInformerReference Model=NN2026.06 | 0.42 | |
| DLinearReference Model=NN2026.06 | -0.11 | |
| DInformerReference Model=NN2026.06 | -0.21 | |
| EInformerReference Model=Linear2026.06 | -0.23 | |
| DInformerReference Model=DLinear2026.06 | -0.32 | |
| InformerReference Model=GRU2026.06 | -0.56 | |
| EInformerReference Model=LANN2026.06 | -0.81 | |
| NNReference Model=Linear2026.06 | -0.85 | |
| ReSGAReference Model=SGA2026.06 | -1.12 | |
| InformerReference Model=LSTM2026.06 | -1.31 | |
| LSTMReference Model=NN2026.06 | -1.32 | |
| DInformerReference Model=EInformer2026.06 | -1.39 | |
| SGAReference Model=Informer2026.06 | -1.4 | |
| InformerReference Model=NN2026.06 | -1.62 | |
| DLinearReference Model=Linear2026.06 | -1.73 | |
| GRUReference Model=NN2026.06 | -1.8 | |
| DInformerReference Model=LANN2026.06 | -1.83 | |
| LSTMReference Model=DLinear2026.06 | -2.11 | |
| SGAReference Model=DInformer2026.06 | -2.13 | |
| SGAReference Model=GRU2026.06 | -2.17 | |
| LSTMReference Model=Linear2026.06 | -2.21 | |
| GRUReference Model=LSTM2026.06 | -2.23 | |
| SGAReference Model=EInformer2026.06 | -2.25 | |
| ReSGAReference Model=Informer2026.06 | -2.33 | |
| LANNReference Model=GARCH2026.06 | -2.34 | |
| EInformerReference Model=GARCH2026.06 | -2.37 | |
| LinearReference Model=GARCH2026.06 | -2.39 | |
| DLinearReference Model=GARCH2026.06 | -2.39 | |
| DInformerReference Model=GARCH2026.06 | -2.39 | |
| LSTMReference Model=GARCH2026.06 | -2.4 | |
| NNReference Model=GARCH2026.06 | -2.41 | |
| GRUReference Model=GARCH2026.06 | -2.41 | |
| InformerReference Model=GARCH2026.06 | -2.41 | |
| SGAReference Model=GARCH2026.06 | -2.43 | |
| ReSGAReference Model=GARCH2026.06 | -2.44 | |
| GRUReference Model=Linear2026.06 | -2.46 | |
| ReSGAReference Model=DInformer2026.06 | -2.51 | |
| ReSGAReference Model=EInformer2026.06 | -2.6 | |
| DInformerReference Model=Linear2026.06 | -2.66 | |
| DLinearReference Model=LANN2026.06 | -2.86 | |
| GRUReference Model=DLinear2026.06 | -2.89 | |
| SGAReference Model=LSTM2026.06 | -3.05 | |
| InformerReference Model=DLinear2026.06 | -3.13 | |
| ReSGAReference Model=GRU2026.06 | -3.26 | |
| LANNReference Model=GAS2026.06 | -3.3 | |
| LinearReference Model=GAS2026.06 | -3.35 | |
| EInformerReference Model=GAS2026.06 | -3.36 | |
| NNReference Model=GAS2026.06 | -3.39 | |
| DInformerReference Model=GAS2026.06 | -3.41 | |
| DLinearReference Model=GAS2026.06 | -3.42 | |
| LSTMReference Model=GAS2026.06 | -3.43 | |
| InformerReference Model=GAS2026.06 | -3.44 | |
| GRUReference Model=GAS2026.06 | -3.45 | |
| SGAReference Model=GAS2026.06 | -3.51 | |
| ReSGAReference Model=GAS2026.06 | -3.51 | |
| SGAReference Model=NN2026.06 | -3.56 | |
| InformerReference Model=Linear2026.06 | -3.8 | |
| ReSGAReference Model=LSTM2026.06 | -4.13 | |
| SGAReference Model=DLinear2026.06 | -4.4 | |
| InformerReference Model=LANN2026.06 | -4.46 | |
| ReSGAReference Model=NN2026.06 | -4.49 | |
| SGAReference Model=Linear2026.06 | -4.62 | |
| ReSGAReference Model=Linear2026.06 | -4.69 | |
| ReSGAReference Model=DLinear2026.06 | -4.82 | |
| LSTMReference Model=LANN2026.06 | -5.24 | |
| GRUReference Model=LANN2026.06 | -5.65 | |
| ReSGAReference Model=LANN2026.06 | -7.63 | |
| SGAReference Model=LANN2026.06 | -8.01 |